A UNIFIED APPROACH TO THE STUDY OF SUMS, PRODUCTS, TIME-AGGREGATION AND OTHER FUNCTIONS OF ARMA PROCESSES

DOI10.1111/J.1467-9892.1984.TB00384.XMaRDI QIDQ3327558zbMATH OpenOpenAlexFDO

Authors Eduardo M. R. A. Engel

Publication date 1984

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1984.tb00384.x

zbMATH Keywords

sumsproductsautocovariance functionautoregressive-moving average modeltransformed variablestime-aggregationBox and Jenkins transfer function modelfunctions of ARMA processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• scientific article; zbMATH DE number 4054851
• scientific article; zbMATH DE number 4039069
• RANDOM AGGREGATION OF UNIVARIATE AND MULTIVARIATE LINEAR PROCESSES
• A note on the properties of some nonstationary ARMA processes
• scientific article; zbMATH DE number 3911536

Cites work

• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• A note on the time series which is the product of two stationary time series
• The Effect of Aggregation on Prediction in the Autoregressive Model

Cited in

(8)

• Maximum likelihood estimation for arma models in the presence of ARMA errors
• Structural econometric modeling and time series analysis
• Identification of composite (∑+II) arma models by relatively simpler models
• A single series representation of multiple independent ARMA processes
• On the study of some functions of multivariate ARMA processes
• A looser cointegration concept using fractional integration parameters and quantification of market responsiveness
• Tensorial products of functional ARMA processes
• scientific article; zbMATH DE number 4039069 (Why is no real title available?)

This page was built for publication: A UNIFIED APPROACH TO THE STUDY OF SUMS, PRODUCTS, TIME-AGGREGATION AND OTHER FUNCTIONS OF ARMA PROCESSES

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3327558)